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It works the first way.
It is called WorstHeldRank.
It is not called WorstHeldPositionScore.
The "proper" value of WorstHeldRank is dependent on many factors.
Try different values to see the effect. If you are holding 5
positions and set WorstHeldRank to 5, then it automaticaaly forces
you to always be in the top 5. However, you may find that this
causes too much switching and may want to change the value to 10 to
give each position more room to manuever.
The size of your universe (watchlist) is also a big factor. Perhaps
you want to hold something as long as it remains in the top 10% of
PositionScores. If that is the case, then WorstRankHeld might be set
at 10 if your watchlist has 100 entries and at 50 if your watchlist
has 500 entries.
--- In amibroker@xxxxxxxxxxxxxxx, "trustdnb" <trustdnb@xxx> wrote:
>
> Many thanks for your help. What sort of value would you use for
> WorstRankHeld with a set up like this?
>
> Actually, I am not entirely clear as to how Rotational trading uses
> WorstRankHeld. I originally assumed that rotational trading would
> sell a stock as soon as (1) it is no longer a top ranking stock -OR-
> (2) it's PositionScore drops below WorstRankHeld.
>
> But from the way I read the helpfile, it sounds like each stock is
> held until its PositionScore drops below WorstRankHeld, at which
time
> a new top stock is selected according to PositionScore. The second
> way is probably inferior to the first unless you are very careful
> about your WorstRankHeld settings.
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@> wrote:
> >
> > Hello,
> >
> > http://www.amibroker.com/f?enablerotationaltrading
> >
> >
> > Assuming that your criteria give values from -100 to 100:
> >
> > CriterionA =..
> > CriterionB =
> > CriterionC
> >
> > PositionScore = CriterionA * 10000 + CriterionB * 100 +
CriterionC;
> >
> > Best regards,
> > Tomasz Janeczko
> > amibroker.com
> > ----- Original Message -----
> > From: "trustdnb" <trustdnb@>
> > To: <amibroker@xxxxxxxxxxxxxxx>
> > Sent: Saturday, September 01, 2007 7:56 PM
> > Subject: [amibroker] Is Portfolio Trader AFL still available
somewhere?
> >
> >
> > > Is the Portfolio Trader AFL somewhere? I don't see it under
the Files
> > > section? I am trying to develop a rotational trading system
that I
> > > dont believe can be accomplished with PositionScore.
> > >
> > > Essentially, I am trying to develop a rotational trading system
that
> > > involves ranking candidates along several criteria.
> > >
> > > Essentially I want to take:
> > >
> > > The Top 20 stocks according to criteria A, then
> > > The Top 10 stocks from the above group according to criteria B,
> > > Finally, The Top 5 stocks from the above group according to
> criteria C.
> > >
> > > I can easily do this type of screening via an exploration to
identify
> > > new trades, but I don't believe I can backtest it because
> > > PositionScore can only be used once.
> > >
> > >
>
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